The Illusionist (2006)
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In the last show, when the policemen come on-stage to arrest Eisenheim (as seen in the beginning), he's a ghost. He disappears.
Inspector Uhl receives a book with the solution to the orange tree trick, and he realizes that Sophie isn't dead. She and Eisenheim concocted the whole thing. Her murder was staged and they implicate Prince Leopold for it. Leopold shoots himself. Edit (Coming Soon)